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NUMERICAL METHOD FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS BY
(Institute of Mathematical Statistics, 2001-05)
We propose a method for numerical approximation of backward stochastic
differential equations. Our method allows the final condition of the equation
to be quite general and simple to implement. It relies on an approximation
of ...
Numerical Method for Reflected Backward Stochastic Differential Equations
(TAYLOR & FRANCIS INC, 2011)
In this article we propose a numerical method for reflected backward stochastic
differential equations (RBSDE). This method is based on the simple random walk,
and the convergence is related to the Skorohod topology.
Numerical method for reflected backward stochastic differential equations
(TAYLOR & FRANCIS INC, 2011)
Numerical method for reflected backward stochastic differential equations
(TAYLOR & FRANCIS INC, 2011)
Estimation of the option prime: microsimulation of backward stochastic differential equations
(REVIEW OF THE INTERNATIONAL STATISTICAL INSTITUTE, 2004)
Estimation of the option prime: microsimulation of backward stochastic differential equations
(REVIEW OF THE INTERNATIONAL STATISTICAL INSTITUTE, 2004)
A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations
(Institute of Mathematical Statidtics, 2016)
The dissipation of general convex entropies for continuous time Markov processes can be
described in terms of backward martingales with respect to the tail filtration. The relative
entropy is the expected value of a ...